Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 1 2 3
Score -4.86 -2.89 -1.37
Market Cap (Millions USD) NA NA NA
Predicted Beta 0.22 0.22 0.22
Idiosyncratic Volatility 0.29 0.32 0.61

Annualized return and volatility

PGOAX
Annualized Return 0.0935
Annualized Std Dev 0.2024
Annualized Sharpe (Rf=0%) 0.4621

Row

Daily Return Statistics

PGOAX
Observations 5112.0000
NAs 2.0000
Minimum -0.1016
Quartile 1 -0.0055
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0004
Quartile 3 0.0070
Maximum 0.0980
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0128
Skewness -0.2900
Kurtosis 6.3997

Downside Risk

PGOAX
Semi Deviation 0.0093
Gain Deviation 0.0087
Loss Deviation 0.0097
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0091
Downside Deviation (0%) 0.0091
Maximum Drawdown 0.5657
Historical VaR (95%) -0.0192
Historical ES (95%) -0.0298
Modified VaR (95%) -0.0199
Modified ES (95%) -0.0361
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2010-12-21 -0.5657 805 273 532
2002-04-22 2002-10-09 2003-09-08 -0.3725 357 122 235
2011-05-02 2011-10-03 2013-01-02 -0.2755 428 109 319
2018-06-21 2018-12-24 2019-12-20 -0.2669 386 132 254
2015-06-24 2016-02-11 2016-11-23 -0.2497 365 164 201

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec PGOAX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 0.2 0.3 0.0 0.8 1.2 0.0 -0.4 0.6 0.0 -0.4 0.0 0.0 2.2
2001 0.2 -0.2 0.0 1.4 1.0 0.0 0.9 0.0 -1.5 1.3 0.0 0.0 3.1
2002 -0.5 1.5 -0.5 0.1 0.0 -2.8 -1.0 0.0 1.4 2.3 0.0 0.0 0.4
2003 0.0 0.0 0.8 0.1 0.0 0.1 -0.7 0.0 2.0 0.0 1.3 0.0 3.7
2004 0.0 1.2 0.1 0.0 0.4 -0.8 0.0 0.7 1.6 0.1 1.1 0.0 4.5
2005 0.4 0.2 -0.1 0.0 0.9 0.6 0.3 0.3 0.0 0.2 1.7 0.0 4.6
2006 0.5 1.3 0.0 -0.3 1.5 0.0 -1.0 0.2 0.0 -1.5 -0.2 0.0 0.5
2007 0.8 -0.4 0.0 0.1 0.7 0.0 0.4 0.0 1.7 -2.5 0.0 0.0 0.8
2008 2.4 0.0 2.8 1.8 0.0 -0.3 -0.3 0.0 -1.4 0.0 -10.2 0.0 -5.6
2009 0.0 0.0 1.4 0.0 3.3 1.3 0.0 -1.8 -2.6 0.0 1.2 0.0 2.7
2010 1.4 1.9 1.0 0.0 -2.4 -0.7 0.0 3.3 0.6 -0.2 1.8 0.0 6.7
2011 1.8 -1.6 0.4 0.0 -2.8 1.5 -0.6 -1.8 0.0 -2.7 -0.9 0.0 -6.7
2012 1.8 0.6 0.0 0.3 -3.1 0.0 -1.4 0.0 0.0 1.5 0.0 0.0 -0.4
2013 0.7 0.2 -0.9 -1.9 0.0 1.1 1.6 0.0 1.1 -0.6 0.0 0.0 1.5
2014 0.0 0.0 1.3 0.2 0.0 0.9 -0.3 0.0 -1.3 0.0 -1.9 0.0 -1.2
2015 0.0 0.0 -0.5 0.6 0.3 0.7 0.0 -2.4 0.0 0.0 0.5 0.0 -0.8
2016 0.3 1.9 0.2 0.0 0.7 0.2 -0.4 0.0 0.0 -0.9 -0.9 0.0 1.1
2017 -0.2 1.6 0.0 0.4 1.4 0.0 0.5 0.4 0.0 -0.6 -0.7 0.0 2.8
2018 0.5 -0.4 0.0 0.1 0.5 0.0 -0.6 0.0 -0.9 1.9 0.0 0.0 1.2
2019 0.5 0.9 1.1 -0.8 0.0 0.6 -1.9 0.0 -1.8 1.6 0.0 0.2 0.3

Row

Rolling Performance Chart

Snail Trail Chart